mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-28 01:37:43 +00:00
Miha Kralj
42 lines
1.3 KiB
Plaintext
42 lines
1.3 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Variance, Dispersion or Spread (VARIANCE)", "VARIANCE", overlay=false)
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//@function variance
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//@doc https://github.com/mihakralj/pinescript/blob/main/indicators/statistics/variance.md
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//@param src {series float} Source series.
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//@param len {int} Lookback length. `len` > 0.
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//@returns {series float} Variance of `src` for `len` bars back. Returns 0 if not enough data.
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variance(series float src, int len) =>
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if len <= 0
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runtime.error("Period must be greater than 0")
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var int p = math.max(1, len)
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var array<float> buffer = array.new_float(p, na)
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var int head = 0, var int count = 0
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var float sum = 0.0, var float sumSq = 0.0
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float oldest = array.get(buffer, head)
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if not na(oldest)
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sum -= oldest
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sumSq -= oldest * oldest
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count -= 1
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float val = nz(src)
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sum += val
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sumSq += val * val
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count += 1
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array.set(buffer, head, val)
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head := (head + 1) % p
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count > 1 ? math.max(0.0, (sumSq / count) - math.pow(sum / count, 2)) : 0.0
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(14, "Period", minval=1)
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i_source = input.source(close, "Source")
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// Calculation
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variance_value = variance(i_source, i_period)
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// Plot
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plot(variance_value, "Var", color=color.yellow, linewidth=2)
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